ϭϴ
21 MPPA
Matahari Putra Prima Tbk Fixed
22
PGAS Perusahaan Gas
Negara Persero Tbk
Fixed
23 PTBA
Tambang Batubara Bukit Asam Persero Tbk
Fixed
24 SILO Siloam
International Hospitals
Tbk New
25
SMGR Semen Indonesia Persero Tbk
Fixed
26
SMRA Summarecon Agung Tbk
Fixed
27 TLKM
Telekomunikasi Indonesia Persero Tbk
Fixed
28
UNTR United Tractors Tbk
Fixed
29 UNVR
Unilever Indonesia Tbk Fixed
30 WIKA
Wijaya Karya Persero Tbk Fixed
Source: Stocks Composition in Jakarta Islamic Index No: Peng-00235BEI.OPP05-2014
2.1.6 Dow Jones Islamic Market Index
The Dow Jones Islamic Market Index DJIM is an Islamic equity benchmark index. It is a subset of Dow JonesGlobal Indexes DJGI
family, which includes stocks from 34 countries and covers the 10 economic sectors, 18 market sectors, 51 industry groups and 89 subgroups
defined by the Dow Jones Global Classification Standard. The Dow Jones ,VODPLF 0DUNHW ,QGH[ H[FOXGHV DQ\ VWRFN ZKRVH FRPSDQ\¶s primary
business is impermissible according to Shari`ah law.
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The Dow Jones Islamic Market Index DJIM measure the global universe of
LQYHVWDEOH HTXLWLHV WKDW KDYH EHHQ VFUHHQHG IRU 6KDUL¶DK FRPSOLDQFHFRQVLVWHQWZLWKRZ-RQHV,QGH[HV¶SURSULHWDU\PHWKodology.
The first DJIM screens are intended to remove any companies with involvement in alcohol, pork-related products, conventional financial
services, entertainment, tobacco, and weapons and defense. A second set of screens, based on financial ratios, are intended to remove companies based
on debt and interest income levels. In the financial ratios screening, all of the following should be less than 33 such as total debt divided by trailing
12- PRQWKDYHUDJHPDUNHWFDSLWDOL]DWLRQWKHVXPRIDFRPSDQ\¶Vcash and
interest-bearing securities divided by trailing 12-month average market capitalization, and accounts receivables divided by trailing 12-month
average market capitalization Dow Jones Company, 2007. According to the empirical evidence of research from Siskawati
2011, as a global Islamic index, Dow Jones Islamic Market Index DJIM had cointegration long term equilibrium with Jakarta Islamic Index.
Granger causality test also shows that there is unidirectional result between Dow Jones Islamic Market Index DJIM and Jakarta Islamic Index JII. It
implies that Jakarta Islamic Index JII affected by the Global Islamic Index Dow Jones Islamic Market Index.
2.1.7 FTSE Bursa Malaysia Hijrah Shariah
FTSE Bursa Malaysia Hijrah Shariah Index FHSI was launched on January, 22
nd
, 2007 in response to increasing interest in Shariah-compliant investment. The FTSE Bursa Malaysia Hijrah Shariah Index has been
designed to be used as a basis of Shariah-compliant investment products that meet the screening requirements of international Islamic investors.
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Companies in the index are The index is calculated based on price and total return methodologies, both real time intra-second and end-of-day.
According to FTSE Factsheet December, 2014, FTSE Bursa Malaysia Hijrah Shariah Index has screening methodology which screened
by the Malaysian Securities Commissions Shariah Advisory Council SAC and the leading global Shariah consultancy, Yasaar Ltd, against
aclear set of guiding principles. Constituents in the index are not permitted to be involved in any of the following core activities: banking or any other
interest-related activity, such as lender and brokerages, but excluding Islamic financial institutions, alcohol, tobacco, gaming, arms
manufacturing life insurance and pork and non-halal production, packaging and processing or any other activity related to pork and non-halal
food.Companies that meet the following criteria, which are assessed under Shariah principles andcommonly accepted philosophies, are also excluded
from the index: x Ratios of debt and debt service in combination that are
unacceptable and indicative of an inappropriate use of leverage relative to their assets.
x Income from cash or near cash equivalents or inappropriate levels of receivables to assets.
x Liquid assets to illiquid assets that exceed the percentages permitted.
x Cash and cash equivalents to total assets that exceed the percentage permitted.
The FTSE Bursa Malaysia Hijrah Shariah Index had uni-directional causality relationship with Jakarta Islamic Index JII. It means that the
Ϯϭ
return of Islamic stock market in Indonesia is significantly affected by the return of Islamic stock market in Malaysia Hussin, Yusof, Muhammad,
Razak, Hasim, Marwan, 2013.
2.1.8 Exchange Rate
The exchange rate is the price at which residents of those countries trade with each other. Economists distiungish between two exchange rates,
such as the nominal exchange rate and the real exchange rate. The nominal exchange rate is the relative price of currency of two countries. The real
exchange rate is the relative price of the goods of two countries. That is, the real exchange rate tells us the rate at which we can trade the goods of
one country for the goods of another Mankiw, 2006. Traditional economic models argue that changes in exchange rates
affect balance sheet items of a firm through its competitiveness as expressed in foreign currency and ultimately, profits and equity leading to
price adjustments in the capital markets. This volatility in price adjustments of individual firms leads to the impact on the index.
Some empirical evidences about the influence of exchange rate on stock returns show that exchange rate had negative impact on stock returns.
The research from Vejzagic and Zarafat 2013 and Mohd Yahya 2012 show that exchange rate had negative influence on stock returns in
Malaysia. That research inline with the research from Syukma 2011 who found that exchange rate of RupiahUs Dollar had negative influence on
stock returns in Jakarta Islamic Index JII.
2.1.9 Consumer Price Index
Consumer Price Index is the most popular measurement of inflation and price level Tangjitprom, 2012. Inflation is defined as a rise in the
